控制权转移的市场反应_基于私有收益视角

:2007206228:(19742),,,,,(19712),,,,,:(:06300976)2007.6(,510420):,,,,:,:;;,(FamaandJensen,1983)(corporatecontroltransfer),(takeover),,(JensenandRuback,1983)(mergeracquisition)(Manne,1965)(),,,JensenRuback(1983)13,,,20%,30%Bruner(2002)1971-2001130,,20%30%,(Bruner,2002;,2001),(privatebenefits),(1997),,0,,(2002),(-10,5),,30-9.19%,,(2003)49(2004),,,(2003)1993-2002,,29.05%,,(2005),,,GrossmanHart(1988),(securitybenefits),,,,HodernessSheehan(1988)BarclayHolderness(1991),12%16.55%,(2003),(2004)(2004),,,,(,2001;,2004;,2005),,,,,(Buyandholdabnormalreturn),:,,,,,,,,,,,,,,,1.,,,,^Rjt=+Rmt,ARjt=Rjt-^Rjt,CARj(,t)=rtARjs=0(,=0),=040(T1=-40)=020(T2=20),[-40,20]6141(T1=-41)240(T0=-240),[-240,-41]CSMAR,2.,30,sARs,,,ARCARt,,t,59,,(Mackinlay,1997),:SARi=ARi^si1+1/L1+(Rm-Rm)2rT1T0+1(Rm-Rm)2(1)SCARj(,t)=rtSARjs(2),^siiARSAR,CARSCAR,SARSCAR,,SARSCARt,ARCARSARSCAR3.,,(2004),,,,,(,),,i()()[-240,-41],[-40,20],^Tjt=rT1T0TjtLj,ATjt=Tjt-^Tjt4.AR(AT)CAR(CAT)0,,,CAR(T1,-1)CAR(Bris,2000;,2003)1),111,:=CAR(-1,1)CAR(T1,1)=CAR(-1,1)CAR(-40,1)(3),,11CARt(-1,1),1,,,,CAR(T1,1),;,,2)CAR(T1,-1)CAR,1,1,:CAR(T1,-1)MaxCAR(T1,T2)CAR(-40,-1)CAR(-40,1)(4)69,,,5.,(BHAR),CSMAR,,,,,,,:(1)19992001,2002;(2)1999200122,;(3)3;(4);(5)();(6)CSMARCSMAR,117,199940,200044,200133,:(1),240;(2),4020,,2,11778,50,28SARtARt1,SARt,,,SAR,,[-40,20],00,602,1,0.013,1,,,,,79[-40,20],00,1508,2,2,10.014,[-40,20],40,,280(),04,0.100,22,0.050,20,10.077,,0.059[-40,20],,11,,70.0704,200.0466,383736,,,,,,,,,,,,,CAR(t,-1)CAR=CAR(-1,1)CAR(T1,1)=CAR(-1,1)CAR(-40,1)=0.011/0.077=14.28%14.28%,,,:CAR(T1,-1)MaxCAR(T1,T2)=CAR(-40,-1)CAR(-40,1)=0.065/0.077=84.41%CAR(T1,-1)CAR84.41%,,,84.41%,1ARCARAR-1(CARM-1)AR0(CAR0)AR1(CAR1)11()1t34,411,2,t,1,ARAR,AR,t,,,,,,,,891AR-1AR0AR1CAR-1CAR0CAR1(34)0.0170.0050.0020.1070.1120.1150.009-0.002-0.0060.0890.1010.079(41)0.0080.0090.0070.0220.0310.0380.0040.00300.0060.0090.023t1.29-0.42-0.651.781.681.54sig0.200.670.520.080.100.132,,26.7%,,26.7%,,7.5%,34.2%,20.9%,,-12.8%,0,,12.8%,,,,(),2BHAR3tsig00.2764.490.000.073-0.6423.74310.3424.300.000.064-1.0165.07620.2093.080.00-0.012-0.8834.67930.0340.520.60-0.208-0.7482.9854-0.1281.730.08-0.303-1.0793.0853,,:(1),,,(2),CAR(T1,-1)CAR,(3),,,(4),,:,,,,,99:,,.2004.[J].(12).,.1999.[J].(9).,.2001.[J].(1).,.2004.[J].(4).,.2002.[J].(11).,.2005.[J].:(5).,,.2004.[J].(12).,.2004.[J].(2).,,.1998.[M].::222-244.,,.2005.[J].(5)..2003.?[J].(6).,.2004.[J].(12)..2003.[J].(5).BARCLAYMJ,HOLDERNESSCG.1991.Negotiatedblocktradesandcorporatecontrol[J].TheJournalofFinance,46:861-878.BRISA.2000.DoinsidertradinglawsWork[R/OL].YaleICFWorkingPapers,:asurveyofevidenceforthedecisionsmaker[R].WorkingPaper.FAMAEF,JENSENMC.1983.Agencyproblemsandresidualclaims[J].JournalofLawandEconomics,26:327-349.GROSSMANSJ,HARTO.1988.Oneshare2onevoteandthemarketforcorporatecontrol[J].JournalofFinancialEconomics,20:175-202.HOLDERNESSCG,SHEEHANDP.1998.Theroleofmajorityshareholdersinpubliclyheldcorporations[J].JournalofFinancialEconom2ic,20:317-346.JENSENMC,RUBACKRS.1983.Themarketforcorporatecontrol:thescientificevidence[J].JournalofFinancialEconomics,11:5-50.MACKINLAYAC.1997.Eventstudyineconomicsandfinance[J].JournalofEconomicLiterature,35:13-39.MANNEH.1965.Mergersandthemarketforcorporatecontrol[J].JournalofPoliticalEconomy,73:110-120.MarketResponsetotheTransferofControllingRights:InViewofPrivateBenefitsZENGZhao2zaoYUPeng2yi(SchoolofManagement,GuangdongUniversityofForeignStudies,Guangzhou510420)Abstract:Thetransferofcontrollingrightscanincreasestockpricesandshareholderswealth.Re2searchersmadegreatdealofstudiesonthemarketresponsestothetransfer,whileseldominviewofprivatebenefitsofcorporatecontrol.Thisstudyempiricallyinvestigatestheaccumulatedabnormalreturns,abnor2malturnoverrates,insidertrading,longtermbuy2and2holdabnormalreturnsanddifferencesofstate2ownedbuyersreturnsandprivatebuyersreturnsinviewofprivatebenefits.Resultsshowthatthetransferistheactivityofobtainingprivatebenefitsbythenewcontrollingshareholdersthroughinsidertrading,itdoesnotcreatevaluesforstockholders.Keywords:transferofcontrollingrights;marketresponse;privatebenefits()001